Chronic obstructive pulmonary disease (COPD) is a progressive disease that is characterized by a state of persistent inflammation and oxidative stress. The presence of oxidative stress in COPD is the result of an imbalance between pro-oxidant and antioxidant mechanisms. The aim of this review was to investigate a possible association between glutathione peroxidase (GPx), a key component of antioxidant defense mechanisms, and COPD. A systematic search for relevant studies was conducted in the electronic databases PubMed, Web of Science, Scopus, and Google Scholar, from inception to June 2021. Standardized mean differences (SMDs) were used to express the differences in GPx concentrations between COPD patients and non-COPD subjects. Twenty-four studies were identified. In 15 studies assessing whole blood/erythrocytes (GPx isoform 1), the pooled results showed that GPx concentrations were significantly lower in patients with COPD (SMD = −1.91, 95% CI −2.55 to −1.28, p < 0.001; moderate certainty of evidence). By contrast, in 10 studies assessing serum/plasma (GPx isoform 3), the pooled results showed that GPx concentrations were not significantly different between the two groups (very low certainty of evidence). The concentration of GPx-1, but not GPx-3, is significantly lower in COPD patients, suggesting an impairment of antioxidant defense mechanisms in this group.